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Out of sample performance summary of our models for the past 1, 2, 4 and 13 week periods. The active active return indicates how the models over- or underperformed the benchmark ETF SPY. Also the YTD, and the 1-, 3-, 5- and 10-year annualized returns are shown in the second table |
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iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 6.7%, and for the last 12 months is 9.3%. Over the same period the benchmark SPY performance was 6.1% and 24.1% respectively. Over the previous week the market value of Best(SPY-SH) gained 0.26% at a time when SPY gained 0.26%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $493,233 which includes $44 cash and excludes $15,358 spent on fees and slippage. |
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iM-Combo3.R1: The model’s out of sample performance YTD is 5.9%, and for the last 12 months is 7.5%. Over the same period the benchmark SPY performance was 6.1% and 24.1% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.35% at a time when SPY gained 0.26%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $133,068 which includes $501 cash and excludes $3,149 spent on fees and slippage. |
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iM-Combo5: The model’s out of sample performance YTD is 6.0%, and for the last 12 months is 4.5%. Over the same period the benchmark SPY performance was 6.1% and 24.1% respectively. Over the previous week the market value of iM-Combo5 gained 0.25% at a time when SPY gained 0.26%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $104,572 which includes -$193 cash and excludes $460 spent on fees and slippage. |
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The iM-Best8(S&P500 Min Vol)Tax-Efficient The model’s out of sample performance YTD is 3.4%, and for the last 12 months is -10.4%. Over the same period the benchmark SPY performance was 6.1% and 24.1% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 1.01% at a time when SPY gained 0.26%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $406,947 which includes $28,635 cash and excludes $8,323 spent on fees and slippage. |
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iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 7.0%, and for the last 12 months is 28.3%. Over the same period the benchmark SPY performance was 6.1% and 24.1% respectively. Since inception, on 7/1/2014, the model gained 55.99% while the benchmark SPY gained 27.53% and VDIGX gained 25.16% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -0.21% at a time when SPY gained 0.26%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $155,992 which includes $11,775 cash and excludes $1,501 spent on fees and slippage. |
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iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 6.1%, and since inception 2.8%. Over the same period the benchmark SPY performance was 6.1% and 14.4% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.49% at a time when SPY gained 0.26%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $746 which includes $105 cash and excludes Gain to date spent on fees and slippage. |
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iM-BESTOGA-3: The model’s out of sample performance YTD is 8.4%, and for the last 12 months is 20.1%. Over the same period the benchmark SPY performance was 6.1% and 24.1% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.87% at a time when SPY gained 0.26%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $219,347 which includes $21,406 cash and excludes $767 spent on fees and slippage. |
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iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 6.9%, and since inception 9.8%. Over the same period the benchmark SPY performance was 6.1% and 14.4% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 2.97% at a time when SPY gained 0.26%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $109,828 which includes $117 cash and excludes $487 spent on fees and slippage. |
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iM-Best10(Short Russell3000): The model’s performance YTD is -7.1%, and for the last 12 months is -45.7%. Over the same period the benchmark SPY performance was 6.1% and 24.1% respectively. Over the previous week the market value of iM-Best10(Short Russell3000) gained 0.00% at a time when SPY gained 0.26%. Over the period 2/3/2014 to 2/27/2017 the starting capital of $100,000 would have grown to $7,944 which includes $10,244 cash and excludes $1,697 spent on fees and slippage. |
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iM-BestogaX5-System: The model’s out of sample performance YTD is 5.7%, and since inception 4.2%. Over the same period the benchmark SPY performance was 6.1% and 18.6% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -0.49% at a time when SPY gained 0.26%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $104,183 which includes $540 cash and excludes $488 spent on fees and slippage. |
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iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 8.8%, and for the last 12 months is 18.3%. Over the same period the benchmark SPY performance was 6.1% and 24.1% respectively. Since inception, on 7/1/2014, the model gained 52.21% while the benchmark SPY gained 27.53% and the ETF USMV gained 35.48% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.10% at a time when SPY gained 0.26%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $152,215 which includes -$579 cash and excludes $2,886 spent on fees and slippage. |
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iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 8.2%, and for the last 12 months is 27.7%. Over the same period the benchmark SPY performance was 6.1% and 24.1% respectively. Since inception, on 1/5/2015, the model gained 36.11% while the benchmark SPY gained 22.55% and the ETF USMV gained 24.42% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained -0.01% at a time when SPY gained 0.26%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $136,111 which includes $9 cash and excludes $707 spent on fees and slippage. |
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iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 7.3%, and for the last 12 months is 20.3%. Over the same period the benchmark SPY performance was 6.1% and 24.1% respectively. Since inception, on 3/31/2015, the model gained 23.49% while the benchmark SPY gained 18.18% and the ETF USMV gained 20.17% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 0.40% at a time when SPY gained 0.26%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $123,485 which includes -$8 cash and excludes $573 spent on fees and slippage. |
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iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 7.0%, and for the last 12 months is 37.9%. Over the same period the benchmark SPY performance was 6.1% and 24.1% respectively. Since inception, on 7/1/2014, the model gained 65.81% while the benchmark SPY gained 27.53% and the ETF USMV gained 35.48% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 0.21% at a time when SPY gained 0.26%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $165,807 which includes -$62 cash and excludes $948 spent on fees and slippage. |
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iM-Best12(USMV)Q4-Investor: Since inception, on 9/30/2014, the model gained 49.08% while the benchmark SPY gained 25.83% and the ETF USMV gained 33.61% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained -0.52% at a time when SPY gained 0.26%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $149,075 which includes $10 cash and excludes $827 spent on fees and slippage. |
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Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 33.83% over SPY. (see iM-USMV Investor Portfolio) |
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iM-Best(Short): The model’s out of sample performance YTD is -1.4%, and for the last 12 months is -14.6%. Over the same period the benchmark SPY performance was 6.1% and 24.1% respectively. Over the previous week the market value of iM-Best(Short) gained 0.03% at a time when SPY gained 0.26%. Over the period 1/2/2009 to 2/27/2017 the starting capital of $100,000 would have grown to $95,476 which includes $95,476 cash and excludes $21,391 spent on fees and slippage. |
iM-Best Reports – 2/27/2017
Posted in pmp SPY-SH
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